Nash equilibrium payoffs for stochastic differential games with reflection

DOI10.1051/COCV/2013051zbMath1283.49043arXiv1110.3896OpenAlexW3099923601MaRDI QIDQ5397550

Qian Lin

Publication date: 24 February 2014

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.3896

zbMATH Keywords

backward stochastic differential equationsstochastic differential gamesdynamic programming principleNash equilibrium payoffs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (3)

Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition ⋮ Nash equilibrium payoffs for stochastic differential games with jumps and coupled nonlinear cost functionals ⋮ Nash Equilibrium Payoffs for Stochastic Differential Games with two Reflecting Barriers

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